THE EFFECTS OF VARIABLE AND FIXED TRANSACTION COSTS ON OPTIMAL INVESTMENT DECISIONS
研究了可变和固定交易成本如何影响风险条件下的投资决策，发现考虑交易成本后能消除经典资本资产定价模型的一些不合理推论，同时保留其合理部分，并解释理论与实证的差异。
ABSTRACT This paper studies the impact of variable and fixed transaction costs on investment decisions under conditions of risk. The decision model is first formulated as a mixed‐integer nonlinear program. The following subjects are then examined: the structure of the investment frontier facing the investor and the effects of transaction costs on this frontier, the impact of transaction costs on the investor's optimal investment strategy, and the conditions for the equilibrium structure of risky asset prices and risk‐return relationships. The main finding is that the relaxation of the assumption of the absence of transaction costs eliminates some of the most unattractive implications of the classic capital asset pricing model (CAPM) while preserving the more attractive implications of this model. Also, our model provides explanations for some discrepancies between the theoretical CAPM and empirical findings and, therefore, is a step toward narrowing the gap between theory and practice.